Decomposing Exchange Rate Volatility Around the Pacific Rim
AbstractVolatility in exchange rates is decomposed into components associated with domestic and international concerns for six Pacific Rim currencies. A latent factor model is used to model bilateral exchange rate changes as the weighted sum of three factors; two factors are uniquely associated with each of the currencies involved in the exchange rates and the other represents world shocks common to all exchange rates.
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Bibliographic InfoPaper provided by School of Economics, La Trobe University in its series Working Papers with number 1999.12.
Length: 15 pages
Date of creation: 1999
Date of revision:
Exchange Rate; Volatility; Economics EDIRC Provider-Institution: RePEc:edi:smlatau;
Other versions of this item:
- Dungey, M. H., 1999. "Decomposing exchange rate volatility around the Pacific Rim," Journal of Asian Economics, Elsevier, vol. 10(4), pages 525-535.
- Mardi H Dungey, 1999. "Decomposing Exchange Rate Volatility Around the Pacific Rim," Working Papers 1999.12, School of Economics, La Trobe University.
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